[Federal Register Volume 86, Number 206 (Thursday, October 28, 2021)]
[Notices]
[Pages 59824-59833]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2021-23436]


-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-93403; File No. SR-CBOE-2021-061]


Self-Regulatory Organizations; Cboe Exchange, Inc.; Notice of 
Filing and Immediate Effectiveness of a Proposed Rule Change To Extend 
the Length of Its Current Global Trading Hours Session

October 22, 2021.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is hereby given 
that on October 21, 2021, Cboe Exchange, Inc. (the ``Exchange'' or 
``Cboe Options'') filed with the Securities and Exchange Commission 
(the ``Commission'') the proposed rule change as described in Items I, 
II, and III below, which Items have been prepared by the Exchange. The 
Exchange filed the proposal as a ``non-controversial'' proposed rule 
change pursuant to Section 19(b)(3)(A)(iii) of the Act \3\ and Rule 
19b-4(f)(6) thereunder.\4\ The Commission is publishing this notice to 
solicit comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ 15 U.S.C. 78s(b)(3)(A)(iii).
    \4\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    Cboe Exchange, Inc. (the ``Exchange'' or ``Cboe Options'') proposes 
to extend the length of its current global trading hours session 
(``Global Trading Hours'' or ``GTH''). The text of the proposed rule 
change is provided in Exhibit 5.
    The text of the proposed rule change is also available on the 
Exchange's website (http://www.cboe.com/AboutCBOE/CBOELegalRegulatoryHome.aspx), at the Exchange's Office of the 
Secretary, and at the Commission's Public Reference Room.

[[Page 59825]]

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The Exchange has prepared summaries, set forth in 
sections A, B, and C below, of the most significant aspects of such 
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and the 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to extend the hours of its GTH session. The 
proposed rule change to extend the current GTH session aims to meet 
growing customer demand globally for expanded access to trade SPX and 
VIX options, which are designed to help enable investors to hedge or 
gain exposure to the broad U.S. market and global equity volatility.
    By way of background, the Exchange currently offers two trading 
sessions.\5\ Regular Trading Hours (``RTH'') and GTH. Rule 5.1 
currently sets forth the trading hours for the Exchange's RTH and GTH 
trading sessions. Particularly, RTH for transactions in equity options 
(including options on individual stocks, ETFs, ETNs, and other 
securities) are the normal business days and hours set forth in the 
rules of the primary market currently trading the securities underlying 
the options, except for options on ETFs, ETNs, Index Portfolio Shares, 
Index Portfolio Receipts, and Trust Issued Receipts the Exchange 
designates to remain open for trading beyond 4:00 p.m.\6\ but in no 
case later than 4:15 p.m.\7\ RTH for transactions in index options are 
from 9:30 a.m. to 4:15 p.m., subject to certain exceptions.\8\ The GTH 
session currently begins at 3:00 a.m. and goes until 9:15 a.m. on 
Monday through Friday.\9\ The Exchange's rules provide that the 
Exchange may designate as eligible for trading during GTH any 
exclusively listed index option designated for trading under Chapter 4, 
Section B.\10\ Currently, SPX, VIX and XSP are approved for trading 
during GTH.\11\
---------------------------------------------------------------------------

    \5\ The term ``trading session'' means the hours during which 
the Exchange is open for trading for Regular Trading Hours or Global 
Trading Hours (each of which may referred to as a trading session). 
Unless otherwise specified in the Rules or the context otherwise 
indicates, all Rules apply in the same manner during each trading 
session. See Rule 1.1 (Definitions).
    \6\ All times referenced herein are Eastern Standard Time.
    \7\ See Rule 5.1(b)(1).
    \8\ See Rule 5.1(b)(2).
    \9\ See Rule 5.1(c).
    \10\ The Exchange notes that Rule 5.1(c)(1) inadvertently refers 
to the wrong section of Chapter 4. Particularly, Rule 5.1(c)(1) 
references Chapter 4, Section D, which section governs Corporate 
Debt Security Options, instead of the intended reference of Chapter 
4, Section B, which section governs Index Options. The Exchange 
proposes to correct that inadvertent cross-reference error now.
    \11\ If the Exchange designates a class of index options as 
eligible for trading during GTH, FLEX Options with the same 
underlying index are also deemed eligible for trading during GTH. 
The Exchange also notes that although eligible, XSP is not currently 
listed for trading during GTH.
---------------------------------------------------------------------------

    The Exchange notes that it originally adopted the GTH trading 
session due to global demand from investors to trade SPX and VIX 
options, as alternatives for hedging and other investment purposes, 
particularly as a complementary investment tool to VIX futures.\12\ 
Given that SPX and VIX options only traded during regular trading hours 
prior to the adoption of the GTH session, it was historically difficult 
for U.S. investors that traded in non-U.S. markets to use these 
products as part of their global investment strategies. Accordingly, 
the Exchange adopted the GTH session to meet that demand and allow 
market participants to engage in trading these options (SPX and VIX) in 
conjunction with trading VIX futures on Cboe Futures Exchange, LLC 
(``CFE'') during extended hours.\13\ Currently, VIX futures are open 
for trading on CFE nearly 23 hours a day, 5 days a week.\14\
---------------------------------------------------------------------------

    \12\ See Securities Exchange Act Release No. 34-73017 (September 
8, 2014), 79 FR 54758 (September 12, 2014) (SR-CBOE-2014-062).
    \13\ Id.
    \14\ See CFE Rule 1202(b).
---------------------------------------------------------------------------

    The proposed rule change to extend the GTH trading session aims to 
provide global market participants with expanded access to trade the 
products offered during GTH. Indeed, the proposal to lengthen the 
current GTH session is designed to help meet growing investor demand 
for the ability to manage risk more efficiently, react to global 
macroeconomic events as they are happening and adjust SPX and VIX 
options positions nearly around the clock. Additionally, the Exchange 
notes the proposed expanded hours overlap with the Asia Pacific 
markets, thereby offering a new segment of global market participants 
the opportunity to trade GTH products in their local time. 
Specifically, the Exchange proposes to expand the session by starting 
the GTH session at 8:15 p.m. on the immediately preceding calendar day, 
rather than at the current start time of 3:00 a.m.\15\ The GTH session 
would continue to end at 9:15 a.m. Transactions effected during the GTH 
session will have the same trade date as the RTH session that 
immediately follows it.\16\ The proposed rule change otherwise makes no 
changes to the trading rules applicable to GTH. The GTH trading session 
will continue to be a separate trading session from RTH and the rules 
that currently apply (or don't apply) to the current GTH session will 
continue to apply (or not apply) to the lengthened GTH session.\17\ The 
Exchange will continue to use the same servers and hardware during the 
lengthened GTH session as it uses for RTH and GTH today. Further, 
Trading Permit Holders (``TPHs'') may continue to use the same ports 
and connections to the Exchange for both trading sessions. The Book 
used during the lengthened GTH session will also be the same Book used 
currently during RTH and GTH. The Exchange proposes to amend and 
conform various rules to relating to the proposed expanded GTH, as 
described more fully below.
---------------------------------------------------------------------------

    \15\ For example, the GTH trading session for Mondays currently 
begins on Mondays at 3:00 a.m. Pursuant to the proposed rule change, 
a Monday GTH trading session will commence on the immediately 
preceding Sunday at 8:15 p.m.
    \16\ Transactions effected between 8:15 p.m. to 11:59 p.m. would 
be considered to have the trade date of the following business day. 
For example, any transactions effected during the GTH session that 
begins at 8:15 p.m. on Tuesday, November 23 will be considered to 
have the trade date of Wednesday, November 24 regardless of whether 
the trades were effected between 8:15 p.m. and 11:59 p.m. on 
Tuesday, November 23 or between 12:00 a.m. and 9:15 a.m. on 
Wednesday November 24.
    \17\ For example, business conduct rules in Chapter 8 and rules 
related to doing business with the public in Chapter 9 will continue 
to apply during the GTH session. Additionally, a broker-dealer's due 
diligence and best execution obligations apply during the GTH 
trading session. As there will still be no open outcry trading on 
the floor during the GTH trading, Chapter 5, Section G will continue 
not to apply as such rules pertain to manual order handling and 
open-outcry trading.
---------------------------------------------------------------------------

Trading Days and Hours
    As noted above, Rule 5.1 (Trading Days and Hours) currently sets 
forth the trading hours for RTH and GTH. The Exchange proposes to amend 
Rule 5.1 in connection with its proposal to lengthen the GTH session. 
Particularly, the Exchange proposes to amend Rule 5.1(c), which sets 
forth the trading hours for the GTH session, to provide that except 
under unusual conditions as may be determined by the Exchange, GTH 
hours are from 8:15 p.m. (previous day) to 9:15 a.m. on Monday through 
Friday (instead of 3:00 a.m. to 9:15 a.m. Monday through Friday). The 
Exchange also proposes to add language providing that the hours for the 
GTH session that

[[Page 59826]]

follows any holiday listed under Rule 5.1(d) \18\ will be from 12:00 
a.m. (the calendar day immediately following the day the holiday is 
observed) until 9:15 a.m., unless the holiday is observed on a Friday, 
in which case, GTH hours for the subsequent GTH session will start at 
8:15 p.m. on the Sunday following the holiday (observed) until 9:15 
a.m.\19\ The Exchange proposes to start the GTH session that follows a 
holiday (other than holidays observed on Fridays) at 12:00 a.m. on the 
trading day immediately following the holiday (observed) because 
current Rule 5.1(d) provides the Exchange is not open for business on 
those holidays. The proposed rule change therefore ensures the proposed 
extended GTH session remains consistent with the current language of 
Rule 5.1(d) (i.e., the Exchange remains closed for business on 
holidays).
---------------------------------------------------------------------------

    \18\ Rule 5.1(d) provides that the Exchange is not open for 
business on the following holidays: New Year's Day, Martin Luther 
King, Jr. Day, Presidents' Day, Good Friday, Memorial Day, 
Independence Day, Labor Day, Thanksgiving Day, and Christmas Day.
    \19\ For example, the GTH session that follows Thanksgiving 
(observed this year on November 25, 2021), will begin at 12:00 a.m. 
on Friday, November 26, 2021 and end at 9:15 a.m. Because Christmas 
in 2021 will be observed on a Friday, the GTH session that follows 
the observed holiday on Friday, December 24, 2021, will start at 
8:15 p.m. on Sunday, December 26, 2021 and end at 9:15 a.m.
---------------------------------------------------------------------------

Index Values
    The Exchange next proposes to amend Rule 5.1(c)(3) which currently 
provides that while it may not be calculated and disseminated at all 
times during GTH, current values of the VIX Index (i.e., intraday/spot 
values of the VIX Index) will be widely disseminated at least once 
every 15 seconds by OPRA or one or more major market vendors during 
that trading session. Rule 5.1(c)(3) also provides no current index 
value underlying any other index option trading during GTH is 
disseminated during or at the close of that trading session.
    Pursuant to Rules 4.10(f) and (g), to list options on a broad-based 
index (currently, the only options that trade during GTH overlying 
broad-based indexes), current indexes values must be widely 
disseminated at least once every 15 seconds. The initial purpose of 
having a rule provision regarding the potential lack of dissemination 
of index values during GTH was to supersede those requirements with 
respect to GTH, as index reporting authorities may not disseminate 
updated values outside of regular trading hours. Moreover, the Exchange 
notes authority to decide when and how frequently to calculate and 
disseminate index values lies solely with a reporting authority. 
Currently, S&P Dow Jones Indices LLC (``S&P'') does not disseminate 
current values of the S&P 500 Index during GTH, whereas Cboe Global 
Indices, LLC (``CGI'') \20\ currently does disseminate current values 
of the VIX Index for most (but not all) \21\ of the GTH session. While 
CGI plans to continue its current dissemination of VIX Index values 
during the current GTH hours (i.e., between 3:00 a.m. to 9:15 a.m.), it 
does not intend to calculate or disseminate current values of the VIX 
Index during the proposed additional GTH hours (i.e., from 8:15 p.m. to 
3:00 a.m.). The proposed rule change therefore amends Rule 5.1(c)(3) to 
reflect this change and clarify that current values of VIX will be 
widely disseminated at least once every fifteen (15) seconds by the 
Options Price Reporting Authority or one or more major market vendors 
during that trading session only between 3:00 a.m. to 9:15 a.m. and 
further provide that between 8:15 p.m. to 3:00 a.m. the Exchange will 
not report a value of an index underlying an index option trading 
during GTH, because the value of the underlying indexes of index 
options trading during GTH (i.e., SPX and VIX) will not be recalculated 
during this time.
---------------------------------------------------------------------------

    \20\ CGI is an affiliate of the Exchange and is the reporting 
authority for the Cboe Volatility Index (the ``VIX Index'') (which 
underlies VIX options the Exchange currently lists for trading) and 
the Cboe Short-Term Volatility Index (``VIX9D) (which underlies VXST 
options the Exchange is authorized to, but does not, list for 
trading).
    \21\ There may be times when a current value is not available, 
such as if CGI (as reporting authority) does not begin making 
current index values available until after a certain amount of time 
(approximately 15 minutes) has passed following the open of the 
current GTH session (for example, to ensure sufficient quotes in 
series used to calculate the index values) or if there are technical 
issues preventing CGI (as reporting authority) from calculating 
index values. During the times the current value of VIX is not 
available (and thus not disseminated) during current GTH, VIX 
options will continue to be listed for trading during that trading 
session.
---------------------------------------------------------------------------

    The Exchange notes that since the inception of the Exchange's GTH 
trading session in 2014, the Exchange has disclosed the possibility 
that index values on options listed for trading during that session may 
not be disseminated. Particularly, VIX is intended to represent the 
market's expectation of S&P 500 volatility over the next 30 days. The 
accuracy of the calculation for VIX indicative (or spot) values depends 
on the quality of bid and offer quotes for constituent SPX options 
series. As the proposed additional GTH hours has yet to be implemented, 
CGI cannot currently know that the SPX option quotes displayed during 
those hours will be sufficient to calculate accurate and meaningful VIX 
indicative values in the same manner it does during RTH or the current 
GTH session. Indeed, the Exchange expects that initially there will be 
overall lower levels of trading during the proposed additional GTH 
hours (8:15 p.m. to 3:00 a.m.) as compared to both RTH and the current 
GTH session. Therefore, CGI has determined to not calculate VIX spot 
values during the proposed additional GTH hours. After the launch of 
extended GTH, to the extent CGI as index calculator determines that SPX 
quotes during such additional hours will support accurate VIX 
indicative values, CGI will reconsider whether to calculate and 
disseminate these values during the entirety of GTH (and the Exchange 
would submit rule filings to amend the rules, as necessary). The 
Exchange notes that it similarly did not report a value of an index 
underlying an index option trading during GTH when the GTH session was 
first adopted.\22\ Additionally, pursuant to Rule 9.20, any TPH that 
accepts orders for customers for execution during GTH must disclose to 
those customers various risks related to trading during that trading 
session, including the risk that an updated underlying index or 
portfolio value or intraday indicative value will not be calculated or 
publicly disseminated during GTH. Further, the closing value of the 
index from the previous trading day will still be available for TPHs 
that trade during GTH. The proposed change to Rule 5.1(c)(3) also has 
no impact on trading during GTH. The Exchange lastly notes that the 
proposed change is also consistent with the rules of its affiliated 
exchanges that have a GTH session.\23\
---------------------------------------------------------------------------

    \22\ See Securities Exchange Act Release No. 34-73704 (November 
28, 2014), 79 FR 72044 (December 4, 2014) (SR-CBOE-2014-062) (order 
granting accelerated approval of proposed rule change, as modified 
by Amendments Nos 1 and 2, to adopt Extended Trading Hours for SPX 
and VIX). Particularly, the Exchange proposed to adopt Rule 6.1A(k), 
which provided ``[t]he Exchange will not report a value of an index 
underlying an index option trading during Extended Trading Hours, 
because the value of the underlying index will not be recalculated 
during or at the close of Extended Trading Hours.''
    \23\ See Cboe C2 Exchange, Inc. (``C2'') Rule 5.1(c)(3) and Cboe 
EDGX Exchange, Inc. (``Cboe EDGX'') Rule 21.2(c)(3).
---------------------------------------------------------------------------

Definitions
    The Exchange proposes to amend the definition of ``Business Day'' 
and ``Trading Day'' under Rule 1.1 (Definitions) in connection with the 
proposed expansion of the GTH trading session. The terms ``business 
day'' and ``trading day'' currently mean a day on

[[Page 59827]]

which the Exchange is open for trading during RTH. The definition 
currently provides that a business day or trading day includes both 
trading sessions on that day. As the expanded GTH session will now 
begin on a calendar day different than the business day (or trading 
day), the Exchange proposes to eliminate this language and adopt 
clarifying language that instead provides that a business day or 
trading day includes the RTH session and the GTH session that 
immediately precedes it. Also, because the expanded GTH session will 
begin on the same calendar day as an RTH session, the Exchange proposes 
to eliminate the following language from this definition to avoid 
potential confusion: ``[I]if the Exchange is not open for Regular 
Trading Hours on a day, then it will not be open for Global Trading 
Hours on that day.'' In its place, the Exchange proposes to clarify 
that if the Exchange is not open for Regular Trading Hours on a day, 
then it will not be open for a Global Trading Hours session immediately 
preceding what would have otherwise been the Regular Trading Hours 
session on that day. The Exchange believes the proposed amendments to 
the definition to add clarity and alleviate potential confusion.
Entry of Orders, Quotes and Cancellations
    The Exchange proposes to amend Rule 5.7 (Entry of Orders and 
Quotes), which currently provides that Users can enter orders and 
quotes into the System, or cancel previously entered orders and quotes, 
from 2:00 a.m. until RTH market close, subject to certain requirements 
and conditions. The Exchange first notes that Rule 5.7 inadvertently 
omits to differentiate the start time for the entry of orders, quotes 
and cancellations for All Sessions \24\ classes and RTH classes.\25\ 
The start time for RTH Classes is currently 7:30 a.m., which is 
reflected accurately in Rule 5.31(b). The Exchange therefore proposes 
to update Rule 5.7 to make clear that Users can enter orders and 
quotes, or cancel previously entered orders and quotes, from 7:30 a.m. 
until RTH market close for RTH Classes. In light of the proposal to 
start the GTH session at 8:15 p.m. (instead of 3:00 a.m.), the Exchange 
proposes to update the time that Users can begin entering orders and 
quotes into the System (or canceling previously entered orders and 
quotes) for All Sessions Classes from its current start time of 2:00 
a.m. to 8:00 p.m. on the previous day. While Users will have less time 
to submit orders quotes and cancellations prior to the GTH opening, the 
Exchange believes having 15 minutes, as proposed, to submit orders, 
quotes and cancellations in All Sessions Classes prior to the GTH 
opening will to be an adequate and sufficient amount of time, 
especially given that the Exchange lists only two classes for trading 
during GTH.
---------------------------------------------------------------------------

    \24\ The term ``All Sessions class'' means an options class the 
Exchange lists for trading during both GTH and RTH, which currently 
is only SPX and VIX. As noted above, although eligible, XSP is not 
currently listed for trading during GTH.
    \25\ The term ``RTH class'' means an options class the Exchange 
lists for trading during RTH only (currently all classes other than 
SPX and VIX).
---------------------------------------------------------------------------

Opening Auction Process
    The Exchange proposes to amend Rule 5.31 (Opening Auction Process), 
which rule governs opening auctions during RTH and GTH. First, the 
Exchange proposes to update Rule 5.31(b) which sets forth the time the 
Queuing Period begins. The Queuing Period refers to the time period 
prior to the initiation of an opening rotation during which the System 
accepts orders and quotes in the Queuing Book \26\ for participation in 
the open rotation for the applicable session. Rule 5.31(b) currently 
provides that the Queuing Period begins at 2:00 a.m. for All Sessions 
Classes and at 7:30 a.m. for RTH Only Classes. The Exchange proposes to 
update the Rule 5.31(b) to provide that the Queuing Period for All 
Sessions Classes will begin at 8:00 p.m. (the previous day). The 
Exchange believes the proposed Queuing Period still provides a 
sufficient amount of time for TPHs to enter quotes and orders into the 
Queuing Book for participation in the GTH opening rotation, especially 
given that the Exchange lists only two classes for trading during GTH.
---------------------------------------------------------------------------

    \26\ The term ``Queuing Book'' means the book into which Users 
may submit orders and quotes (and onto which GTC and GTD orders 
remaining on the Book from the previous trading session or trading 
day, as applicable, are entered) during the Queuing Period for 
participation in the applicable opening rotation. Orders and quotes 
on the Queuing Book may not execute until the opening rotation. The 
Queuing Book for the GTH opening auction process may be referred to 
as the ``GTH Queuing Book,'' and the Queuing Book for the RTH 
opening auction process may be referred to as the ``RTH Queuing 
Book.'' See Rule 5.31(a).
---------------------------------------------------------------------------

    Next, the Exchange proposes to amend Rule 5.31(c), which currently 
states that beginning at 2:00 a.m. for the GTH trading session and at 
8:30 a.m. for the RTH trading session, and until the conclusion of the 
opening rotation for a series, the Exchange disseminates opening 
auction updates for the series.\27\ The Exchange proposes to update 
Rule 5.31(c) to provide that opening auction updates will be 
disseminated beginning at 8:00 p.m. (the previous day) for GTH.
---------------------------------------------------------------------------

    \27\ The Exchange disseminates updates every five seconds, 
unless there are no updates to the opening information since the 
previously disseminated update, in which case the Exchange 
disseminates updates every minute, to all subscribers to the 
Exchange's data feeds that deliver these messages until a series 
opens. See Rule 5.31(c).
---------------------------------------------------------------------------

    The Exchange also proposes to amend Rule 5.31(d), which describes 
the events that will trigger the opening rotation for a class during 
RTH and GTH. Currently Rule 5.31(d) (2) provides that for the Global 
Trading Hours session, the System initiates the opening rotation at 
3:00 a.m. The Exchange proposes to update Rule 5.31(d)(2), to reflect 
the new opening rotation time of 8:15 p.m. (the previous day).
    The Exchange finally proposes to amend Rule 5.33 (Complex Orders). 
Particularly, the Exchange proposes to amend Rule 5.33(c), which 
describes the COB Opening Process, which occurs at the beginning of 
each trading session and after a trading halt. The System accepts 
complex orders for inclusion in the COB Opening Process at the times 
and in the manner set forth in Rules 5.7 and 5.31(b), except the 
Queuing Period for complex orders ends when the complex strategy opens. 
Complex orders entered during the Queuing Period are not eligible for 
execution until the initiation of the COB Opening Process. Rule 
5.33(c)(1) currently states that the Exchange will disseminate 
indicative prices and order imbalance information based on complex 
orders queued in the System for the COB Opening Process beginning at 
(A) 2:00 a.m. for All Sessions classes for the GTH trading session and 
(B) 8:30 a.m. for RTH Only classes and 9:15 a.m. for All Sessions 
classes for the RTH trading session, and updated every five seconds 
thereafter until the initiation of the COB Opening Process. This 
functionality provides users with information regarding the expected 
COB opening, which the Exchange believes may contribute additional 
transparency and price discovery to the COB Opening Process. The 
Exchange proposes to amend Rule 5.33(c)(1) to reflect that in light of 
the proposed extended GTH session, indicative prices and order 
imbalance information will be disseminated beginning at 8:00 p.m. the 
previous day (instead of 2:00 a.m.) for All Sessions classes for the 
GTH trading session.
Market-Maker Rules
    Current Rule 5.50(b) (Market-Maker Appointments) provides that a 
Market-Maker may enter an appointment request via an Exchange-approved 
electronic interface with the Exchange's systems by 2:30 a.m. for All 
Sessions, which appointment becomes effective

[[Page 59828]]

on the open of the GTH trading session, or by 9:00 a.m. for RTH Only 
classes, which appointment becomes effective on the open of the RTH 
session. In light of the proposed change to the start time of the GTH 
session, the Exchange proposes to update the time by which Market-
Makers may enter an appointment request for All Sessions classes that 
would become effective at the open of the subsequent GTH trading 
session. Particularly, the Exchange proposes to update the cutoff time 
to submit a request for an All Sessions class appointment for the GTH 
session (currently only SPX and VIX) from 2:30 a.m. to 5:30 p.m. the 
previous day, which is the earliest time the Exchange may ``restart'' 
the System to prepare for GTH, and clarify that such appointment would 
be effective upon the open of the GTH session (i.e., starting at 8:15 
p.m.). The Exchange notes that it intends to additionally continue to 
maintain an additional cutoff time of 1:30 a.m. for All Sessions 
appointment classes. Particularly, any appointment request submitted 
after 5:30 p.m. and at or prior to 1:30 a.m. would be effective 
starting at 2:30 a.m. Providing for an additional appointment request 
cutoff time would provide Market-Makers, including Market-Makers who 
may only trade during the current GTH hours between 3:00 a.m. and 9:15 
a.m., an additional opportunity to submit a request for a VIX or SPX 
appointment and be able to quote the remainder of the GTH session. The 
Exchange also notes that Market-Makers do not often update appointment 
selections with respect to SPX and VIX and therefore believes any 
changes to the appointment cutoff time(s) will have a de minimis 
impact. Lastly, the Exchange proposes to clarify that the current 9:00 
a.m. cutoff for class appointments to be effective on the open of RTH 
currently applies, and will continue to apply, to all classes, not just 
RTH Only classes (i.e., if a Market-Maker submits an SPX or VIX 
appointment after 1:30 a.m., while the Market-Maker will not be 
eligible to start quoting during that current GTH session, that 
appointment will be effective starting on the open of RTH so long as it 
was submitted prior to 9:00 a.m.).
    The Exchange also notes that Rule 5.50(a) (Market-Maker 
Appointments) provides that a Market-Maker's selected class appointment 
applies to classes during all trading sessions. In other words, if a 
Market-Maker selects an appointment in SPX options, for example, that 
appointment would apply during both GTH and RTH (and thus, the Market-
Maker would have an appointment to make markets in SPX during GTH and 
RTH). As a result, the Market-Maker continuous quoting obligations set 
forth in Rule 5.52(d) applies to the class for an entire trading day 
(including both trading sessions). Pursuant to Rule 5.52(d), a Market-
Maker must enter continuous bids and offers in 60% of the series of the 
Market-Maker's appointed classes, excluding any adjusted series, any 
intra-day add-on series on the day during which such series are added 
for trading, any Quarterly Option series, and any series with an 
expiration of greater than 270 days.\28\ The Exchange calculates this 
requirement by taking the total number of seconds the Market-Maker 
disseminates quotes in each appointed class (excluding the series noted 
above) and dividing that time by the eligible total number of seconds 
each appointed class is open for trading that day. The Exchange also 
notes however, that pursuant to Rule 5.52(d)(2)(E), the obligations 
apply only when the Market-Maker is quoting in a particular class 
during a given trading day and the obligations are not applicable to an 
appointed class if a Market-Maker is not quoting in that appointed 
class. Accordingly, if a Market-Maker does not wish to quote during the 
proposed new GTH hours (8:15 p.m. to 3:00 a.m.) but does quote the 
current GTH hours (3:00 a.m. to 9:15 a.m.), then so long as the Market-
Maker doesn't log in and quote before 3:00 a.m., the time between 8:15 
p.m. and 3:00 a.m. won't be considered when determining a Market-
Maker's compliance with the quoting obligations. Similarly, for 
example, if a Market-Maker quotes only from 8:15 p.m. to 3:00 a.m. and 
then logs out, the time between 3:00 a.m. and 9:15 a.m. will not be 
considered when determining compliance. Accordingly, the extension of 
GTH will have a de minimis, if any, impact on a Market-Maker's 
continuous quoting obligations, as they may continue to choose when to 
actively quote and have their obligations to their appointed classes 
apply. Moreover, selecting an appointment in SPX or VIX options will be 
optional and within the discretion of a Market-Maker. Additionally, 
Market-Makers have the opportunity to quote during GTH (and receive the 
benefits of acting as a Market-Maker with respect to transactions it 
effects during that time) without obtaining an additional Trading 
Permit or creating additional connections to the Exchange. Given this 
ease of access to the GTH trading session, the Exchange believes 
Market-Makers may be encouraged to quote during the trading session, 
even as amended. The Exchange believes Market-Makers will continue to 
have an incentive to quote during GTH given the significance of the SPX 
and VIX within the financial markets, the expected demand, and given 
that the related futures also trading during those hours (which may 
permit execution of certain hedging strategies). The Exchange believes 
continuing to extend a Market-Maker's appointment to GTH 
notwithstanding the proposed extension of the trading session will 
enhance liquidity during that trading session, which benefits all 
investors during those hours. Therefore, the Exchange believes the 
proposed rule change provides customer trading interest with a net 
benefit and continues to maintain a balance of Market-Maker benefits 
and obligations.
---------------------------------------------------------------------------

    \28\ See Rule 5.52(d)(2).
---------------------------------------------------------------------------

    With respect to Lead-Market-Makers (``LMMs''), the Exchange plans 
to utilize the same LMM structure it uses today during GTH. More 
specifically, Rule 3.55 (LMMS) currently provides that the Exchange may 
approve one or more Market-Makers to act as LMMs in each class during 
GTH. Further, subparagraph (b) of Rule 5.55 (LMMs) provides that if a 
LMM is approved to act as an LMM during GTH, then the LMM must comply 
with the continuous quoting obligation and other obligations of Market-
Makers set forth in Rule 5.52(d)(2) but does not have to comply with 
the obligations under Rule 5.55(a). Additionally, subparagraph 
(a)(2)(B)(iv) of Rule 5.32 (Order and Quote Book Processing, Display, 
Priority and Execution) provides that the DPM/LMM/PMM participation 
entitlement does not apply during GTH. LMMs appointed in the GTH 
session will therefore continue to not be obligated to satisfy 
heightened continuous quoting and opening quoting standards during GTH, 
nor will they receive a benefit in exchange for satisfying an 
obligation (i.e., LMMs do and will not receive a participation 
entitlement during GTH). The Exchange instead will adopt via a separate 
rule filing an incentive program that provides appointed LMMs a rebate 
if they meet certain heightened continuous quoting standards during the 
proposed additional hours, which the Exchange believes will encourage 
LMMs to provide significant liquidity during this time.
FLEX
    Subparagraph (b) of Rule 5.71 (Opening of FLEX Trading) currently 
sets forth the times that FLEX traders may begin submitting FLEX Orders 
into an electronic FLEX Auction, a FLEX AIM, or a FLEX SAM or initiate 
an open

[[Page 59829]]

outcry FLEX Auction on the trading floor for the RTH and GTH sessions. 
The Exchange proposes to update the time FLEX traders may submit such 
orders during GTH from after 3:00 a.m. (which is the current start time 
of the GTH session) to after 8:15 p.m. the previous day (which is the 
proposed start time of the GTH session).
Discussion
    As discussed above, rules that currently apply to the GTH trading 
session will continue to apply in the same manner to the expanded GTH 
session, albeit certain cutoff times and commencement times will be 
updated to reflect the proposed new start time of the GTH session. The 
Exchange also notes the following:
     All TPHs will continue to be allowed to, but will not be 
required to, participate during GTH.\29\ As noted above, while a 
Market-Maker's appointment to an All Sessions class will apply to that 
class whether it quotes in series in that class or not during GTH, the 
Exchange believes the proposed lengthening of the GTH session will have 
a de minimis, if any, impact on a Market-Maker's continuous quoting 
obligations, as they may continue to choose when to actively quote and 
have their obligations to their appointed classes apply. Additionally, 
even if a Market-Maker elects to not quote during part of GTH, its 
ability to satisfy its continuous quoting obligation will not be 
substantially impacted given the few classes that will be listed for 
trading during GTH.
---------------------------------------------------------------------------

    \29\ In order to participate in GTH, including the proposed 
additional hours, a TPH must have a letter of guarantee from a 
Clearing TPH that is properly authorized by the Options Clearing 
Corporation (``OCC'') to operate during the GTH session. See Cboe 
Options Rule 3.61. A letter of guarantee from a Clearing TPH 
authorized to operate during the GTH session will allow a TPH to 
participate in the entire GTH session, (i.e., from 8:15 p.m. to 9:15 
a.m.).
---------------------------------------------------------------------------

     The Exchange will continue to use the same connection 
lines, message formats, and feeds during RTH and GTH.\30\ TPHs may use 
the same ports and EFIDs \31\ for each trading session.\32\ 
Accordingly, the Exchange expects TPHs that want to trade during the 
lengthened GTH session to have minimal preparation.
---------------------------------------------------------------------------

    \30\ The same telecommunications lines used by TPHs during RTH 
and/or GTH today may be used during GTH, even as extended, and these 
lines will be connected to the same application server at the 
Exchange during both trading sessions.
    \31\ The term ``EFID'' means an Executing Firm ID. The Exchange 
assigns an EFID to a TPH, which the System uses to identify the TPH 
and the clearing number for the execution of orders and quotes 
submitted to the System with that EFID.
    \32\ A TPH may elect to have separate ports or EFIDs for each 
trading session, but the Exchange will not require that.
---------------------------------------------------------------------------

     The same opening process will continue to be used to open 
GTH, albeit at an earlier start time.
     Order processing will operate in the same manner during 
GTH as it does during RTH and the current GTH session. There will be no 
changes to the ranking, display, or allocation algorithms rules.
     There will be no changes to the processes for clearing, 
settlement, exercise, and expiration.\33\
---------------------------------------------------------------------------

    \33\ The Exchange has held discussions with the Options Clearing 
Corporation, which is responsible for clearance and settlement of 
all listed options transactions and has informed the Exchange that 
it will be able to clear and settle all transactions that occur on 
the Exchange during the extended GTH trading session subject to its 
existing requirements for transactions executed during extended and 
overnight trading sessions. See Exchange Act Release No. 74268 
(February 12, 2015), 80 FR 8917 (February 19, 2015) (SR-OCC-2014-
024) (approval of proposed rule change concerning extended and 
overnight trading sessions), which applies to both index options and 
index future products.
---------------------------------------------------------------------------

     The Exchange will report Exchange quotation and last sale 
information to the Options Price Reporting Authority (``OPRA'') 
pursuant to the Plan for Reporting of Consolidated Options Last Sale 
Reports and Quotation Information (the ``OPRA Plan'') during the 
proposed additional GTH hours in the same manner it currently reports 
this information to OPRA during RTH and GTH today.\34\ The Exchange 
will also continue to disseminate an opening quote and trade price 
through OPRA during the proposed additional GTH hours (as it does for 
RTH and GTH today). Therefore, all TPHs that elect to trade during the 
proposed extended GTH session will have access to quote and last sale 
information during that trading session. Exchange proprietary data 
feeds will also continue to be disseminated during GTH using the same 
formats and delivery mechanisms with which the Exchange disseminates 
them during RTH and GTH today. Use of these proprietary data feeds 
during GTH will be optional (as they are today during RTH and GTH).\35\
---------------------------------------------------------------------------

    \34\ The OPRA Plan provides for the collection and dissemination 
of last sale and quotation information on options that are trading 
on the participant exchanges. The OPRA Plan is a national market 
system plan approved by the Commission pursuant to Section 11A of 
the Act and Rule 608 thereunder. See Securities Exchange Act Release 
No. 17638 (March 18, 1981). The full text of the OPRA Plan is 
available at http://www.opraplan.com. All operating U.S. options 
exchanges participate in the OPRA Plan. The Exchange will report its 
best bid and offer and executed trades to OPRA during the proposed 
additional GTH hours in the same manner that they are reported 
during RTH and GTH today. The operator of OPRA has also informed the 
Exchange that it will continue to include a modifier to the 
disseminated information during GTH.
    \35\ Any fees related to receipt of the OPRA data feed during 
GTH would be included on the OPRA fee schedule. Any fees related to 
receipt of the Exchange's proprietary data feeds during GTH will be 
included on the Exchange's fee schedule (and will be included in a 
separate rule filing) or the Exchange's market data website, as 
applicable.
---------------------------------------------------------------------------

     The same TPHs that are required to maintain connectivity 
to a backup trading facility during RTH and GTH today will be required 
to do so during the extended GTH session.\36\ Because the same 
connections and servers will be used for both trading sessions, a TPH 
will not be required to take any additional action to comply with this 
requirement, regardless of whether the TPH chooses to trade during GTH.
---------------------------------------------------------------------------

    \36\ See Rule 5.24.
---------------------------------------------------------------------------

     The Exchange will process all clearly erroneous trade 
breaks during GTH in the same manner it does during RTH and GTH today 
and will have Exchange officials available to do so.
     The Exchange will perform all necessary surveillance 
coverage during GTH.
     The Exchange may halt trading during GTH in the interests 
of a fair and orderly market in the same manner it may during RTH and 
GTH today pursuant to Rule 5.20.
    Under Rule 5.22 (Market-wide Trading Halts due to Extraordinary 
Market Volatility), the Exchange will halt trading in all classes 
whenever a market-wide trading halt (commonly known as a circuit 
breaker) is initiated in response to extraordinary market conditions. 
Rule 5.22(b)(1) states that the Exchange will halt trading for 15 
minutes if a Level 1 or Level 2 Market Decline occurs after 9:30 a.m. 
and up to and including 3:25 p.m. (or 12:25 p.m. for an early scheduled 
close). Additionally, the Exchange will not halt trading if a Level 1 
or Level 2 Market Decline occurs after 3:25 p.m. (or 12:25 p.m., if 
applicable). Rule 5.22(b)(2) states that the Exchange will halt trading 
until the next trading day if a Level 3 Market Decline occurs. The 
Exchange notes that Rule 5.22(b)(1) will continue not to apply during 
the extended GTH session, just as it does not apply during GTH today, 
as the beginning of GTH, even as amended, will still occur past the 15-
minute halt window for a Level 1 or Level 2 Market Decline. Rule 
5.22(b)(2) will also continue not to apply to the GTH session, as the 
GTH session is still considered a different (i.e., the next) trading 
day than the preceding RTH session (even though the GTH session would 
begin on the same calendar day as such a halt). As such, if a Level 3

[[Page 59830]]

Market Decline occurs at any time during RTH, the Exchange will halt 
trading in SPX and VIX only until the start of GTH. The Exchange 
believes that it is appropriate to continue to not apply Rule 5.22(b) 
because, even if stock trading was halted at the close of the previous 
trading day, the condition that led to the halt is likely to have been 
resolved by the time the GTH session starts given the length of time 
between the close of the previous trading day and the proposed start 
time of GTH (approximately 4 hours). Moreover, current Rule 5.20(a)(6) 
continues to allow the Exchange to consider unusual conditions or 
circumstances when determining whether to halt trading during GTH. To 
the extent a circuit breaker caused a stock market to be closed at the 
end of the prior trading day, the Exchange could consider, for example, 
whether it received notice from stock exchanges that trading was 
expected to resume (or not) the next trading day in determining whether 
to halt trading during GTH. Because the stock markets would not begin 
trading until after GTH opens, the Exchange believes it should be able 
to open GTH rather than waiting several hours to see whether stock 
markets open to allow investors to participate in GTH if the Exchange 
believe such trading can occur in a fair and orderly manner based on 
then-existing circumstances, not circumstances that existed many hours 
earlier.
    The Exchange understands that systems and other issues may arise 
and is committed to resolving those issues as quickly as possible, 
including during the new GTH trading hours. Thus, the Exchange will 
have appropriate staff on-site and otherwise available as necessary 
during GTH to handle any technical and support issues that may arise 
during those hours. Additionally, the Exchange will have personnel 
available to address any trading issues that may arise during the 
additional GTH trading hours. The Exchange is also committed to 
fulfilling its obligations as a self-regulatory organization at all 
times, including during GTH, and will have appropriately trained, 
qualified regulatory staff in place during GTH to the extent it deems 
necessary to satisfy those obligations. The Exchange believes its 
surveillance procedures are adequate to properly monitor trading during 
the lengthened GTH session, but notes if additional changes are needed 
in the future, it will revise such procedures to the extent necessary.
Implementation Date
    The Exchange will announce the implementation date of the proposed 
rule change in accordance with Rule 1.5. The Exchange also notes that 
it first announced its proposal to lengthen the current GTH session to 
market-participants via a Trade Desk notice back in January 2021.\37\ 
Since then, the Exchange has issued numerous updated notices, FAQs and 
detailed technical specifications.
---------------------------------------------------------------------------

    \37\ See Exchange Notice C2021012501 ``Cboe Options Exchange to 
Extended Global Trading Hours in Q4 2021''.
---------------------------------------------------------------------------

2. Statutory Basis
    The Exchange believes the proposed rule change is consistent with 
the Securities Exchange Act of 1934 (the ``Act'') and the rules and 
regulations thereunder applicable to the Exchange and, in particular, 
the requirements of Section 6(b) of the Act.\38\ Specifically, the 
Exchange believes the proposed rule change is consistent with the 
Section 6(b)(5) \39\ requirements that the rules of an exchange be 
designed to prevent fraudulent and manipulative acts and practices, to 
promote just and equitable principles of trade, to foster cooperation 
and coordination with persons engaged in regulating, clearing, 
settling, processing information with respect to, and facilitating 
transactions in securities, to remove impediments to and perfect the 
mechanism of a free and open market and a national market system, and, 
in general, to protect investors and the public interest. Additionally, 
the Exchange believes the proposed rule change is consistent with the 
Section 6(b)(5) \40\ requirement that the rules of an exchange not be 
designed to permit unfair discrimination between customers, issuers, 
brokers, or dealers.
---------------------------------------------------------------------------

    \38\ 15 U.S.C. 78f(b).
    \39\ 15 U.S.C. 78f(b)(5).
    \40\ Id.
---------------------------------------------------------------------------

    In particular, the Exchange believes the proposed rule change to 
expand the hours of the Global Trading Hours session will remove 
impediments to and perfect the mechanism of a free and open market and 
a national market system. Particularly, the expansion of GTH is a 
competitive initiative designed to improve the Exchange's marketplace 
for the benefit of investors and allow the Exchange to provide a 
competitive marketplace for market participants to trade certain 
products for a longer period of time outside of RTH. Additionally, the 
expansion of the GTH trading session is designed to increase the 
overlap in time that SPX and VIX options are open alongside the related 
futures contracts and further aims to provide global market 
participants with expanded access to trade the products offered during 
GTH. As discussed above, lengthening the GTH session is designed to 
better help meet growing investor demand for the ability to manage risk 
more efficiently, react to global macroeconomic events as they are 
happening and adjust SPX and VIX options positions nearly around the 
clock. The proposed rule change also provides a mechanism for the 
Exchange to more effectively compete with exchanges located outside of 
the United States. Global markets have become increasingly 
interdependent and linked, both psychologically and through improved 
communications technology. This has been accompanied by an increased 
desire among investors to have access to U.S.-listed exchange products 
outside of regular trading hours, and the Exchange believes this desire 
extends to its exclusively listed products. Indeed, market participants 
in the Asia Pacific region have expressed their interest in having the 
ability to participate in the GTH session during their market hours, 
which coincide with the proposed additional GTH hours. The Exchange 
therefore believes that the proposed rule change is reasonably designed 
to provide an appropriate mechanism for additional trading hours 
available outside of its current RTH and GTH sessions, while providing 
for appropriate Exchange oversight pursuant to the Act, trade 
reporting, and surveillance.
    The Exchange also notes that it, along with some of its affiliated 
options exchanges, already allow for trading outside of the hours of 
RTH (i.e., during the current GTH trading session).\41\ Furthermore, 
the Commission has authorized U.S. stock exchanges to be open for 
trading outside of regular trading hours.\42\ Thus, the proposed rule 
change to expand the hours of the GTH session is not novel or unique. 
Additionally, as noted above, futures exchanges also operate outside of 
those hours and during the hours proposed to be added to the GTH 
trading session, including the Exchange's affiliate, CFE, which 
operates during the hours the

[[Page 59831]]

Exchange proposes to operate the expanded GTH trading session.\43\
---------------------------------------------------------------------------

    \41\ See Cboe Options Rule 5.1, C2 Rule 5.1 and Cboe EDGX Rule 
21.2.
    \42\ See e.g., Cboe BZX Exchange, Inc. Rule 1.5, which provides 
for an After Hours Trading Session which is a trading session from 
4:00 p.m.-8:00 p.m. and follows the Regular Trading Hours session 
which takes place between 9:30 a.m. and 4:00 p.m. See also Exchange 
Act Release No. 59963 (May 21, 2009), 74 FR 25787 (May 29, 2009) 
(SR-BATS-2009-012) (Notice of Filing and Immediate Effectiveness of 
Proposed Rule Change to Amend BATS Rules to Offer an After Hours 
Trading Session).
    \43\ See, e.g., CFE Rule 1202, which outlines the trading 
schedule for futures on the Cboe Volatility Index and includes an 
Extended trading session that lasts from 5:30 p.m. (previous day to 
8:30 a.m.) CT.
---------------------------------------------------------------------------

    As described in detail above, the Exchange's trading rules that 
apply to GTH today will continue to apply during the lengthened GTH 
session, which rules have all been previously filed with the Commission 
as being consistent with the goals of the Act. Rules that will continue 
to apply during GTH include rules that protect public customers, impose 
best execution requirements on TPHs, and prohibit acts and practices 
that are inconsistent with just and equitable principles of trade as 
well as fraudulent and manipulative practices. The Exchange's rules 
will also continue to provide opportunities for price improvement 
during GTH and applies the same allocation and priority rules that are 
available to the Exchange during RTH and GTH today. The Exchange 
believes, therefore, that the rules that will apply during GTH, even as 
expanded, will continue to promote just and equitable principles of 
trade and prevent fraudulent and manipulative acts.
    The proposed rule change clearly identifies the ways in which 
trading during the expanded GTH will be different from trading during 
current GTH (such as the start time for queuing periods that will be 
updated in connection with the new session start time and the proposed 
absence of a disseminated updated index value during the new hours). 
This ensures that investors are aware of any differences relating to 
the proposed additional GTH trading hours. Additionally, the Exchange 
notes that it will continue to require that disclosures be made to 
customers describing these potential risks, which will continue to 
further protect investors from any additional risks related to trading 
during GTH.\44\ The Exchange believes that, with these disclosures, GTH 
remains appropriate and beneficial. The All Sessions order \45\ and RTH 
Only order \46\ will continue to protect investors by permitting 
investors who wish only to trade during RTH from having orders or 
quotes execute outside of the RTH session, including during the 
expanded GTH trading session. Consistent with the goal of investor 
protection, the Exchange will not allow market orders during GTH due to 
the expected increased volatility and decreased liquidity during these 
hours, just as it does not currently allow such orders during GTH today 
for the same reasons.
---------------------------------------------------------------------------

    \44\ See Cboe Options Rule 9.20.
    \45\ An All Sessions order is an order a User designates as 
eligible to trade during both GTH and RTH. See Cboe Options Rule 
5.6(c).
    \46\ An RTH Only order is an order a User designates as eligible 
to trade only during RTH or not designated as All Sessions. See Cboe 
Options Rule 5.6(c).
---------------------------------------------------------------------------

    Additionally, the Exchange believes that the proposed rule change 
will foster cooperation and coordination with persons engaged in 
regulating, clearing, settling, processing information with respect to, 
and facilitating transactions in securities, as the Exchange will 
ensure that adequate staffing is available during the proposed 
additional GTH hours (as it does during current GTH hours) to provide 
appropriate trading support during those hours, as well as Exchange 
officials to make any necessary determinations under the rules during 
GTH (such as trading halts and trade nullification for obvious errors). 
The Exchange is also committed to continuing to fulfill its obligations 
as a self-regulatory organization at all times, including during GTH. 
The Exchange believes its surveillance procedures are adequate to 
properly monitor trading during GTH, including during the additional 
proposed trading hours. Clearing and settlement processes will be the 
same for transactions executed during the proposed expanded GTH trading 
session as they are for transactions executing during RTH or GTH 
trading session today.
    The proposed rule change further removes impediments to a free and 
open market and does not unfairly discriminate among market 
participants, as all TPHs with access to the Exchange may trade during 
GTH using the same connection lines, message formats data feeds, and 
EFIDs they use during RTH and GTH today, minimizing any preparation 
efforts necessary to participate during the expanded GTH session. TPHs 
will continue not be required to trade during GTH.
    Additionally, as discussed above, while the proposed rule change 
increases the total time during which a Market-Maker with an 
appointment has the ability to quote in a selected class, the Exchange 
believes this increase has a de minimis, if any, impact on Market-
Makers given that a Market-Maker's compliance with its continuous 
quoting obligation is based on all classes in which it has an 
appointment in the aggregate and based only when a Market-Maker is 
quoting it its appointed classes. Indeed, as noted above, if a Market-
Maker who quotes during the GTH session today does not wish to quote 
during the proposed additional GTH hours, then so long as such Market-
Maker does not log into the system and quote prior to 3:00 a.m. (or 
whatever other time it wishes to begin quoting), there will be no 
impact with respect to the Market-Maker's ability to satisfy its 
continuous quoting obligations. Selecting an appointment in SPX and/or 
VIX options will continue to be optional and within the discretion of a 
Market-Maker. Additionally, Market-Makers continue to have the 
opportunity to quote during GTH (and receive the benefits of acting as 
a Market-Maker with respect to transactions it effects during that 
time) without obtaining an additional Trading Permit or creating 
additional connections to the Exchange. The Exchange believes Market-
Makers will have an incentive to quote in SPX and VIX during the 
expanded GTH session given the significance of these products within 
the financial markets, the expected demand, and given that the related 
futures are also trading during those hours (which may permit execution 
of certain hedging strategies). The Exchange believes continuing to 
extend a Market-Maker's appointment to the entirety of the GTH session 
will enhance liquidity during that trading session, which benefits all 
investors during those hours. The Exchange believes that any slight 
additional burden of extending the continuous quoting obligation to the 
additional hours being added to the GTH trading session in the eligible 
classes would be outweighed by the Exchange's efforts to add liquidity 
during the entire GTH trading session in All Sessions classes, the 
minimal preparation a Market-Maker may require to participate in the 
GTH trading session, and the benefits to investors that may result from 
that liquidity. Therefore, the Exchange believes the proposed rule 
change provides customer trading interest with a net benefit and 
continues to maintain a balance of Market-Maker benefits and 
obligations.
    The proposed rule change is also consistent with Section 11A of the 
Act and Regulation NMS thereunder, because it continues to provide for 
the dissemination of transaction and quotation information during GTH 
through OPRA, pursuant to the OPRA Plan, which the Commission approved 
and indicated to be consistent with the Act. While Section 11A and 
Regulation NMS contemplate an integrated system for trading securities, 
they also envision competition between markets, and innovation that 
provides marketplace benefits to attract order flow to an exchange does 
not result in unfair competition if other markets are free to

[[Page 59832]]

compete in the same manner.\47\ As discussed, the Exchange, as well as 
other options exchanges, already offer trading sessions outside of 
regular trading hours.\48\
---------------------------------------------------------------------------

    \47\ See Exchange Act Release Nos. 73704 (November 28, 2014), 79 
FR 72044 (December 4, 2014) (SR-CBOE-2014-062) (approval of proposed 
rule change for Cboe Options to extend its trading hours outside of 
Regular Trading Hours); and 29237 (May 24, 1991), 46 FR 24853 (May 
31, 1991) (SR-NYSE-1990-052 and SR-NYSE-1990-053) (approval of 
proposed rule change for NYSE to extend its trading hours outside of 
Regular Trading Hours). The Exchange also notes that no other U.S. 
options exchange provides for trading SPX or VIX options outside of 
RTH, so there is currently no need for intermarket linkage during 
GTH. If another Cboe Affiliated Exchange lists any options 
authorized to trade during GTH outside of RTH, trading of such 
options on the Exchange would comply with linkage rules.
    \48\ See, e.g., Cboe Options Rule 5.1, C2 Rule 5.1 and Cboe 
EDGX. Rule 21.2.
---------------------------------------------------------------------------

    Lastly, the Exchange believes the proposed rule change to provide 
the Exchange will not report a value of VIX during the proposed 
additional GTH hours will remove impediments to and perfect the 
mechanism of a free and open market and a national market system as it 
will reflect the fact that the relevant index reporting authority 
(i.e., CGI) will not disseminate updated values during the proposed 
additional GTH hours. As discussed above, the authority to decide when 
and how frequently to calculate and disseminate index values lies 
solely with a reporting authority (in this case S&P for SPX and CGI for 
VIX). The proposed rule change therefore updates the Exchange's rule to 
reflect the fact that CGI has determined not to calculate and 
disseminate current values of VIX during GTH from 8:15 p.m. to 3:00 
a.m.\49\ Particularly, because the proposed additional GTH hours have 
not yet been implemented, CGI cannot currently know that the SPX option 
quotes displayed during the proposed additional hours will be 
sufficient to calculate accurate and meaningful VIX indicative values 
in the same manner it does during RTH and current GTH. Indeed, the 
Exchange expects that initially there will be overall lower levels of 
trading during the proposed additional GTH hours (8:15 p.m. to 3:00 
a.m.) as compared to both RTH and the current GTH session. Therefore, 
CGI has determined to not calculate VIX spot values between 8:15 p.m. 
and 3:00 a.m. Also as noted above, after the launch of the additional 
GTH hours, to the extent CGI as index calculator determines that SPX 
quotes during such trading session will support accurate VIX indicative 
values, CGI will reconsider whether to calculate and disseminate these 
values during the entirety of GTH (and the Exchange would submit rule 
filings to amend the rules, as necessary).
---------------------------------------------------------------------------

    \49\ S&P will also continue to not calculate and disseminate 
current values of the S&P 500 Index during GTH (during both the 
proposed additional hours and the current GTH session).
---------------------------------------------------------------------------

    Further, as discussed above, since the inception of the Exchange's 
GTH trading session in 2014, the Exchange has disclosed the possibility 
that index values on options listed for trading during that session may 
not be disseminated. In fact, when the Exchange first adopted the GTH 
session, it adopted the same rule provision it is proposing today for 
the expanded hours since neither reporting authorities for these 
indexes calculated index values during GTH when it first launched, 
which rule was approved by the Commission.\50\ Moreover, Rule 9.20, 
provides that any TPH that accepts orders for customers for execution 
during GTH must disclose to those customers various risks related to 
trading during that trading session, including the risk that an updated 
underlying index or portfolio value or intraday indicative value will 
not be calculated or publicly disseminated during GTH. Additionally, 
the closing value of the index from the previous trading day will still 
be available for TPHs that trade during GTH. The Exchange notes the 
proposed change to Rule 5.1(c)(3) also has no impact on trading during 
GTH. The Exchange lastly notes that its affiliated exchanges' GTH rules 
similarly provide that no current index value underlying an index 
option trading during the respective exchange's GTH session is 
disseminated during or at the close of that trading session.\51\
---------------------------------------------------------------------------

    \50\ See Securities Exchange Act Release No. 34-73704 (November 
28, 2014), 79 FR 72044 (December 4, 2014) (SR-CBOE-2014-062) (order 
granting accelerated approval of proposed rule change, as modified 
by Amendments Nos 1 and 2, to adopt Extended Trading Hours for SPX 
and VIX). Particularly, the Exchange proposed to adopt Rule 6.1A(k), 
which provided ``[t]he Exchange will not report a value of an index 
underlying an index option trading during Extended Trading Hours, 
because the value of the underlying index will not be recalculated 
during or at the close of Extended Trading Hours.'' It wasn't until 
March 2016 that CGI determined to calculate and make available 
current values of VIX every 15 seconds during GTH.
    \51\ See Cboe C2 Exchange, Inc. (``C2'') Rule 5.1(c)(3) and Cboe 
EDGX Exchange, Inc. (``Cboe EDGX'') Rule 21.2(c)(3).
---------------------------------------------------------------------------

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Act. The Exchange does not 
believe that the proposed rule change to lengthen the current GTH 
trading session will impose any burden on intramarket competition that 
is not necessary or appropriate in furtherance of the purposes of the 
Act, because all TPHs will be able, but not be required, to participate 
during GTH, and will be able to do so using the same connectivity as 
they use during RTH and GTH today. As discussed, participation in GTH 
will be voluntary and within the discretion of TPHs. While the proposed 
rule change increases the total time during which a Market-Maker with 
either a SPX and/or VIX appointment may be able quote, the Exchange 
believes the proposal will have a de minimis, if any, impact on a 
Market-Maker's continuous quoting obligations, as they may continue to 
choose when to actively quote and have their obligations to their 
appointed classes apply. Furthermore, selecting an appointment in these 
options classes will be optional and within the discretion of a Market-
Maker. Additionally, Market-Makers continue to have the opportunity to 
quote during GTH (and receive the benefits of acting as a Market-Maker 
with respect to transactions it effects during that time) without 
obtaining an additional Trading Permit or creating additional 
connections to the Exchange. The Exchange believes that extending the 
continuous quoting obligation to the additional trading hours being 
added to the GTH trading session in two classes is also outweighed by 
the Exchange's efforts to add liquidity during the entire GTH trading 
session in All Sessions classes, the minimal preparation a Market-Maker 
may require to participate in the GTH trading session, and the benefits 
to investors that may result from that liquidity. Therefore, the 
Exchange believes the proposed rule change provides customer trading 
interest with a net benefit and continues to maintain a balance of 
Market-Maker benefits and obligations.
    The Exchange does not believe that the proposed rule change to 
lengthen the GTH trading session will impose any burden on intermarket 
competition that is not necessary or appropriate in furtherance of the 
purposes of the Act, because the proposed rule change is a competitive 
initiative that will benefit the marketplace and investors. 
Additionally, all options exchanges are free to compete in the same 
manner. The Exchange further believes that the same level of 
competition among options exchanges will continue during RTH. Because 
the Exchange will continue to make only exclusively listed products 
available for trading during GTH, and because any All Sessions

[[Page 59833]]

orders that do not trade during GTH will be eligible to trade during 
the RTH trading sessions in the same manner as all other orders 
submitted during RTH, the proposed rule change will have no effect on 
the national best prices or trading during RTH. The Exchange also 
believes the proposed rule change could further increase its 
competitive position outside of the United States by providing 
investors with an additional investment vehicle with respect to their 
global trading strategies during times that better correspond with 
parts of regular trading hours outside of the United States.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    The Exchange neither solicited nor received comments on the 
proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Because the foregoing proposed rule change does not:
    A. Significantly affect the protection of investors or the public 
interest;
    B. impose any significant burden on competition; and
    C. become operative for 30 days from the date on which it was 
filed, or such shorter time as the Commission may designate, it has 
become effective pursuant to Section 19(b)(3)(A) of the Act \52\ and 
Rule 19b-4(f)(6) \53\ thereunder. At any time within 60 days of the 
filing of the proposed rule change, the Commission summarily may 
temporarily suspend such rule change if it appears to the Commission 
that such action is necessary or appropriate in the public interest, 
for the protection of investors, or otherwise in furtherance of the 
purposes of the Act. If the Commission takes such action, the 
Commission will institute proceedings to determine whether the proposed 
rule change should be approved or disapproved.
---------------------------------------------------------------------------

    \52\ 15 U.S.C. 78s(b)(3)(A).
    \53\ 17 CFR 240.19b-4(f)(6).
---------------------------------------------------------------------------

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's internet comment form (http://www.sec.gov/rules/sro.shtml); or
     Send an email to [email protected]. Please include 
File Number SR-CBOE-2021-061 on the subject line.

Paper Comments

     Send paper comments in triplicate to: Secretary, 
Securities and Exchange Commission, 100 F Street NE, Washington, DC 
20549-1090.

All submissions should refer to File Number SR-CBOE-2021-061. This file 
number should be included on the subject line if email is used. To help 
the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's internet website (http://www.sec.gov/rules/sro.shtml). 
Copies of the submission, all subsequent amendments, all written 
statements with respect to the proposed rule change that are filed with 
the Commission, and all written communications relating to the proposed 
rule change between the Commission and any person, other than those 
that may be withheld from the public in accordance with the provisions 
of 5 U.S.C. 552, will be available for website viewing and printing in 
the Commission's Public Reference Room, 100 F Street NE, Washington, DC 
20549 on official business days between the hours of 10:00 a.m. and 
3:00 p.m. Copies of the filing also will be available for inspection 
and copying at the principal office of the Exchange. All comments 
received will be posted without change. Persons submitting comments are 
cautioned that we do not redact or edit personal identifying 
information from comment submissions. You should submit only 
information that you wish to make available publicly. All submissions 
should refer to File Number SR-CBOE-2021-061 and should be submitted on 
or before November 18, 2021.
---------------------------------------------------------------------------

    \54\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\54\
J. Matthew DeLesDernier,
Assistant Secretary.
[FR Doc. 2021-23436 Filed 10-27-21; 8:45 am]
BILLING CODE 8011-01-P


